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arXiv · 1610.04085

The Fatou Closedness under Model Uncertainty

Marco Maggis·Thilo Meyer-Brandis·Gregor Svindland
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Abstract

We provide a characterization in terms of Fatou closedness for weakly closed monotone convex sets in the space of $\mathcal{P}$-quasisure bounded random variables, where $\mathcal{P}$ is a (possibly non-dominated) class of probability measures. Applications of our results lie within robust versions the Fundamental Theorem of Asset Pricing or dual representation of convex risk measures.

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BibTeXRIS

Marco Maggis, Thilo Meyer-Brandis, Gregor Svindland. 2016-10-13. The Fatou Closedness under Model Uncertainty. https://arxiv.org/abs/1610.04085

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